A NOTE ON THE THRESHOLD AR(1) MODEL WITH CAUCHY INNOVATIONS

DOI10.1111/j.1467-9892.1986.tb00481.xzbMath0587.60033OpenAlexW2005388848MaRDI QIDQ3713255

Tomáš Bartoň, Jiří Anděl

Publication date: 1986

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1986.tb00481.x

zbMATH Keywords

stationary densitythreshold modelautoregressive processCauchy innovations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (10)

Infinite variance stable Gegenbauer ARFISMA models ⋮ The marginal distribution function of threshold-type processes with central symmetric innovations ⋮ On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One ⋮ Unnamed Item ⋮ Skew-Normal ARMA Models with Nonlinear Heteroscedastic Predictors ⋮ Methods for calculating stationary distribution in linear models of time series ⋮ Unnamed Item ⋮ Unnamed Item ⋮ On nonlinear models for time series ⋮ Corrected confidence intervals for parameters in adaptive linear models

Cites Work

• Threshold models in non-linear time series analysis
• A threshold AR(1) model
• A multiple-threshold AR(1) model

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